Report NEP-RMG-2016-10-16

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Leonardo Gambacorta & Sudipto Karmakar, 2016. "Leverage and risk weighted capital requirements," BIS Working Papers 586, Bank for International Settlements.
• Yassine Bakkar & Clovis Rugemintwari & Amine Tarazi, 2017. "Charter value and bank stability before and after the global financial crisis of 2007-2008 Charter value and bank stability before and after the global financial crisis of 2007-2008," Working Papers hal-01337601, HAL.
• Eufinger, Christian & Gill, Andrej, 2016. "Incentive-based capital requirements," SAFE Working Paper Series 9 [rev.], Leibniz Institute for Financial Research SAFE, revised 2016.
• Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Copulas and related properties," Papers 1610.02126, arXiv.org.
• J. D. Opdyke, 2016. "Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions," Papers 1610.03718, arXiv.org, revised Jul 2017.
• Olivier Le Marois & Julia Mikhalevsky & Raphaël Douady, 2014. "Extreme Risk, excess return and leverage: the LP formula," Post-Print hal-01151376, HAL.
• Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Post-Print hal-01151340, HAL.
• Isabelle Distinguin & Aref Mahdavi-Ardekani & Amine Tarazi, 2017. "Do banks differently set their liquidity ratios based on their network characteristics?," Working Papers hal-01336784, HAL.
• Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
• Brühl, Volker, 2016. "How to define a Systemically Important Financial Institution (SIFI): A new perspective," CFS Working Paper Series 538, Center for Financial Studies (CFS).
• Sokolovska, Olena, 2016. "Trade credit insurance: theoretical background and some international practices," MPRA Paper 74303, University Library of Munich, Germany, revised Aug 2016.
• Pia Hüttl & Dirk Schoenmaker, 2016. "Fiscal capacity to support large banks," Policy Contributions 16765, Bruegel.
• SK, Shanthi & Nangia, Vinay Kumar & Sircar, Sanjoy & Reddy, Kotapati Srinivasa, 2015. "Banking and Financial Regulation in Emerging Markets," MPRA Paper 74289, University Library of Munich, Germany, revised 2015.
• Giovanni Favara & Simon Gilchrist & Kurt F. Lewis & Egon Zakrajšek, 2016. "Updating the Recession Risk and the Excess Bond Premium," FEDS Notes 2016-10-06, Board of Governors of the Federal Reserve System (U.S.).